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Bøger af Damir Filipovic

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  • af Damir Filipovic
    569,95 kr.

  • - A Graduate Course
    af Damir Filipovic
    868,95 kr.

    Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. LIBOR market models;

  • af Damir Filipovic
    477,95 kr.

    Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, this research monograph has threefold aims: to bring together estimation methods and factor models for interest rates, to provide appropriate consistency conditions and to explore some important examples.

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